Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0049
Annualized Std Dev 0.2992
Annualized Sharpe (Rf=0%) -0.0163

Row

Daily Return Statistics

Close
Observations 4566.0000
NAs 1.0000
Minimum -0.3363
Quartile 1 -0.0041
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0051
Maximum 0.5777
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0004
Stdev 0.0188
Skewness 5.3292
Kurtosis 240.2485

Downside Risk

Close
Semi Deviation 0.0125
Gain Deviation 0.0179
Loss Deviation 0.0162
Downside Deviation (MAR=210%) 0.0164
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.8452
Historical VaR (95%) -0.0170
Historical ES (95%) -0.0392
Modified VaR (95%) NA
Modified ES (95%) -0.0018
From Trough To Depth Length To Trough Recovery
2004-03-30 2008-10-10 NA -0.8452 4274 1143 NA
2003-07-08 2003-07-29 2003-10-01 -0.0491 61 16 45
2004-02-18 2004-02-24 2004-03-10 -0.0367 16 5 11
2003-02-11 2003-03-24 2003-05-30 -0.0334 76 29 47
2003-12-09 2003-12-09 2003-12-24 -0.0279 12 1 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 0.2 -0.1 0.2 0.2 0.6 0.1 0 0.2 0.8 -0.4 -0.3 0 1.4
2004 -0.1 0.4 -0.5 0.8 1 0.6 0 0.2 -0.1 0 -0.4 1 2.8
2005 0.7 0.4 -0.6 0.7 0.8 -0.3 -0.4 -1.4 0.2 1 -0.1 -0.4 0.5
2006 0.8 1 -0.7 -0.7 -0.1 0.9 0 1.5 0.1 1 0.2 -0.4 3.7
2007 0.3 0.2 -0.1 0.3 0.8 0.6 -0.8 1 1.5 -1 3.1 0.7 6.8
2008 0.2 -1.1 1.5 2.6 0.5 -0.4 1.7 -0.1 2 3.6 -11.9 5.6 3.1
2009 -0.7 -3.5 3.6 -1 5.9 1.5 0.8 -0.7 -0.5 -3.4 2.5 0.7 4.9
2010 0.8 1.4 1 -0.1 -0.9 -3.1 0.9 0.9 0.5 -0.6 -0.4 0 0.4
2011 0.4 -0.2 0.1 0.3 -1.5 0.3 2.2 -1 -4.6 -0.2 -0.2 0 -4.4
2012 -0.3 -0.4 -0.5 0.5 -1.3 0.9 0.3 0.4 0.7 1.5 0.3 2.7 4.8
2013 -1.5 0.1 -0.8 -0.9 -3.3 -0.6 -1.1 -0.5 0.2 0.2 0.1 -0.2 -8.1
2014 0.1 -0.7 0.7 0.2 0 0.8 -0.3 0.6 0.6 0.8 -0.1 -4.1 -1.6
2015 -0.5 0.2 0.2 0 -0.2 2.3 0.1 0.8 -0.7 1.1 -0.5 -0.6 2.1
2016 0.2 0.3 -0.4 -0.4 0.8 0.2 0.3 0 0.6 -1.1 -2.3 -0.1 -2
2017 0.3 0.3 0.5 0.6 0.2 0.7 0.8 -0.3 0.8 1 0.2 0.5 5.7
2018 1.2 0.3 0.9 0.5 0.3 0.5 -0.1 -0.1 0 0.9 -0.3 0.5 4.7
2019 0.2 0.1 0.6 0.4 -0.5 -0.1 0.5 -0.1 0.5 0.5 -0.7 0.5 1.8
2020 -0.1 -4.4 -9.6 -1.8 2.4 0.4 0 0.5 1 -0.3 0.6 1.4 -10
2021 -0.3 0.9 0.8 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-01-29  25.0 SPY    86.5  0.0076  -0.0192  -0.0103  -0.0349   -0.216   -0.384       NA <NA>     NA    NA       NA
2 2003-01-30  25.0 SPY    84.4 -0.0237  -0.0482  -0.0418  -0.0467   -0.245   -0.405       NA <NA>     NA    NA       NA
3 2003-01-31  25.0 SPY    86.1  0.0193  -0.0037  -0.0246  -0.0377   -0.240   -0.389       NA <NA>     NA    NA       NA
4 2003-02-03  25.0 SPY    86.2  0.002    0.0121  -0.0531  -0.0259   -0.234   -0.385       NA <NA>     NA    NA       NA
5 2003-02-04  25.0 SPY    85.4 -0.0099  -0.0052  -0.0654  -0.0542   -0.223   -0.372       NA <NA>     NA    NA       NA
6 2003-02-05  25.1 SPY    84.8 -0.0062  -0.0188  -0.0872  -0.0689   -0.223   -0.392       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart